Title

time series — Introduction to time-series commands

Description
The Time-Series Reference Manual organizes the commands alphabetically, making it easy to find
individual command entries if you know the name of the command. This overview organizes and
presents the commands conceptually, that is, according to the similarities in the functions that they
perform.
The commands listed under the heading Data-management tools and time-series operators help
you prepare your data for further analysis. The commands listed under the heading Univariate time
series are grouped together because they are either estimators or filters designed for univariate time
series or preestimation or postestimation commands that are conceptually related to one or more
univariate time-series estimators. The commands listed under the heading Multivariate time series
are similarly grouped together because they are either estimators designed for use with multivariate time
series or preestimation or postestimation commands conceptually related to one or more multivariate
time-series estimators. Within these three broad categories, similar commands have been grouped
together.

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3
4 time series — Introduction to time-series commands

Data-management tools and time-series operators

tsset Declare data to be time-series data
tsfill Fill in gaps in time variable
tsappend Add observations to a time-series dataset
tsreport Report time-series aspects of a dataset or estimation sample
tsrevar Time-series operator programming command
haver Load data from Haver Analytics database
rolling Rolling-window and recursive estimation

Univariate time series

Estimators
arima ARIMA, ARMAX, and other dynamic regression models
arima postestimation Postestimation tools for arima
arch Autoregressive conditional heteroskedasticity (ARCH) family of
estimators
arch postestimation Postestimation tools for arch
newey Regression with Newey–West standard errors
newey postestimation Postestimation tools for newey
prais Prais–Winsten and Cochrane–Orcutt regression
prais postestimation Postestimation tools for prais

Time-series smoothers and filters

tssmooth ma Moving-average filter
tssmooth dexponential Double-exponential smoothing
tssmooth exponential Single-exponential smoothing
tssmooth hwinters Holt–Winters nonseasonal smoothing
tssmooth shwinters Holt–Winters seasonal smoothing
tssmooth nl Nonlinear filter

Diagnostic tools
corrgram Tabulate and graph autocorrelations
xcorr Cross-correlogram for bivariate time series
cumsp Cumulative spectral distribution
pergram Periodogram
dfgls DF-GLS unit-root test
dfuller Augmented Dickey–Fuller unit-root test
pperron Phillips–Perron unit-root test
estat dwatson Durbin–Watson d statistic
estat durbinalt Durbin’s alternative test for serial correlation
estat bgodfrey Breusch–Godfrey test for higher-order serial correlation
estat archlm Engle’s LM test for the presence of autoregressive conditional
heteroskedasticity
wntestb Bartlett’s periodogram-based test for white noise
wntestq Portmanteau (Q) test for white noise
 time series — Introduction to time-series commands 5

Multivariate time series

Estimators
dfactor Dynamic-factor models
dfactor postestimation Postestimation tools for dfactor
dvech Diagonal vech multivariate GARCH models
dvech postestimation Postestimation tools for dvech
sspace State-space models
sspace postestimation Postestimation tools for sspace
var Vector autoregressive models
var postestimation Postestimation tools for var
svar Structural vector autoregressive models
svar postestimation Postestimation tools for svar
varbasic Fit a simple VAR and graph IRFs or FEVDs
varbasic postestimation Postestimation tools for varbasic
vec Vector error-correction models
vec postestimation Postestimation tools for vec

Diagnostic tools
varlmar Perform LM test for residual autocorrelation after var or svar
varnorm Test for normally distributed disturbances after var or svar
varsoc Obtain lag-order selection statistics for VARs and VECMs
varstable Check the stability condition of VAR or SVAR estimates
varwle Obtain Wald lag-exclusion statistics after var or svar
veclmar Perform LM test for residual autocorrelation after vec
vecnorm Test for normally distributed disturbances after vec
vecrank Estimate the cointegrating rank of a VECM
vecstable Check the stability condition of VECM estimates

Forecasting, inference, and interpretation

irf create Obtain IRFs, dynamic-multiplier functions, and FEVDs
fcast compute Compute dynamic forecasts of dependent variables after var, svar,
or vec
vargranger Perform pairwise Granger causality tests after var or svar

Graphs and tables

corrgram Tabulate and graph autocorrelations
xcorr Cross-correlogram for bivariate time series
pergram Periodogram
irf graph Graph IRFs, dynamic-multiplier functions, and FEVDs
irf cgraph Combine graphs of IRFs, dynamic-multiplier functions, and FEVDs
irf ograph Graph overlaid IRFs, dynamic-multiplier functions, and FEVDs
irf table Create tables of IRFs, dynamic-multiplier functions, and FEVDs
irf ctable Combine tables of IRFs, dynamic-multiplier functions, and FEVDs
fcast graph Graph forecasts of variables computed by fcast compute
tsline Plot time-series data
tsrline Plot time-series range plot data
varstable Check the stability condition of VAR or SVAR estimates
vecstable Check the stability condition of VECM estimates
wntestb Bartlett’s periodogram-based test for white noise
 6 time series — Introduction to time-series commands

Results management tools

irf add Add results from an IRF file to the active IRF file
irf describe Describe an IRF file
irf drop Drop IRF results from the active IRF file
irf rename Rename an IRF result in an IRF file
irf set Set the active IRF file

Remarks
Remarks are presented under the following headings:
Data-management tools and time-series operators
Univariate time series
Estimators
Time-series smoothers and filters
Diagnostic tools
Multivariate time series
Estimators
Diagnostic tools

We also offer a NetCourse on Stata’s time-series capabilities; see

http://www.stata.com/netcourse/nc461.html.

Data-management tools and time-series operators

Because time-series estimators are, by definition, a function of the temporal ordering of the
observations in the estimation sample, Stata’s time-series commands require the data to be sorted and
indexed by time, using the tsset command, before they can be used. tsset is simply a way for you
to tell Stata which variable in your dataset represents time; tsset then sorts and indexes the data
appropriately for use with the time-series commands. Once your dataset has been tsset, you can
use Stata’s time-series operators in data manipulation or programming using that dataset and when
specifying the syntax for most time-series commands. Stata has time-series operators for representing
the lags, leads, differences, and seasonal differences of a variable. The time-series operators are
documented in [TS] tsset.
tsset can also be used to declare that your dataset contains cross-sectional time-series data, often
referred to as panel data. When you use tsset to declare your dataset to contain panel data, you
specify a variable that identifies the panels, as well as identifying the time variable. Once your dataset
has been tsset as panel data, the time-series operators work appropriately for the data.
tsfill, which is documented in [TS] tsfill, can be used after tsset to fill in missing times with
missing observations. tsset will report any gaps in your data, and tsreport will provide more
details about the gaps. tsappend adds observations to a time-series dataset by using the information
set by tsset. This function can be particularly useful when you wish to predict out of sample after
fitting a model with a time-series estimator. tsrevar is a programmer’s command that provides a
way to use varlists that contain time-series operators with commands that do not otherwise support
time-series operators.
The haver commands documented in [TS] haver allow you to load and describe the contents of
a Haver Analytics (http://www.haver.com) file.
rolling performs rolling regressions, recursive regressions, and reverse recursive regressions.
Any command that saves results in e() or r() can be used with rolling.
 time series — Introduction to time-series commands 7

Univariate time series

Estimators
The four univariate time-series estimators currently available in Stata are arima, arch, newey, and
prais. The last two, newey and prais, are really just extensions to ordinary linear regression. When
you fit a linear regression on time-series data via ordinary least squares (OLS), if the disturbances
are autocorrelated, the parameter estimates are usually consistent, but the estimated standard errors
tend to be biased downward. Several estimators have been developed to deal with this problem.
One strategy is to use OLS for estimating the regression parameters and use a different estimator
for the variances, one that is consistent in the presence of autocorrelated disturbances, such as the
Newey–West estimator implemented in newey. Another strategy is to attempt to model the dynamics
of the disturbances. The estimators found in prais, arima, and arch are based on such a strategy.
prais implements two such estimators: the Prais–Winsten and the Cochrane–Orcutt generalized
least-squares (GLS) estimators. These estimators are GLS estimators, but they are fairly restrictive
in that they permit only first-order autocorrelation in the disturbances. Although they have certain
pedagogical and historical value, they are somewhat obsolete. Faster computers with more memory
have made it possible to implement full information maximum likelihood (FIML) estimators, such
as Stata’s arima command. These estimators permit much greater flexibility when modeling the
disturbances and are more efficient estimators.
arima provides the means to fit linear models with autoregressive moving-average (ARMA)
disturbances, or in the absence of linear predictors, autoregressive integrated moving-average (ARIMA)
models. This means that, whether you think that your data are best represented as a distributed-lag
model, a transfer-function model, or a stochastic difference equation, or you simply wish to apply
a Box–Jenkins filter to your data, the model can be fit using arima. arch, a conditional maximum
likelihood estimator, has similar modeling capabilities for the mean of the time series but can also model
autoregressive conditional heteroskedasticity in the disturbances with a wide variety of specifications
for the variance equation.

Time-series smoothers and filters

In addition to the estimators mentioned above, Stata also provides six time-series filters or
smoothers. Included are a simple, uniformly weighted, moving-average filter with unit weights; a
weighted moving-average filter in which you can specify the weights; single- and double-exponential
smoothers; Holt–Winters seasonal and nonseasonal smoothers; and a nonlinear smoother.
Most of these smoothers were originally developed as ad hoc procedures and are used for reducing
the noise in a time series (smoothing) or forecasting. Although they have limited application for
signal extraction, these smoothers have all been found to be optimal for some underlying modern
time-series model.

Diagnostic tools
Stata’s time-series commands also include several preestimation and postestimation diagnostic
commands. corrgram estimates the autocorrelation function and partial autocorrelation function of
a univariate time series, as well as Q statistics. These functions and statistics are often used to
determine the appropriate model specification before fitting ARIMA models. corrgram can also be
used with wntestb and wntestq to examine the residuals after fitting a model for evidence of model
misspecification. Stata’s time-series commands also include the commands pergram and cumsp,
which provide the log-standardized periodogram and the cumulative-sample spectral distribution,
respectively, for time-series analysts who prefer to estimate in the frequency domain rather than the
time domain.
 8 time series — Introduction to time-series commands

xcorr estimates the cross-correlogram for bivariate time series and can similarly be used both
for preestimation and postestimation. For example, the cross-correlogram can be used before fitting
a transfer-function model to produce initial estimates of the IRF. This estimate can then be used to
determine the optimal lag length of the input series to include in the model specification. It can
also be used as a postestimation tool after fitting a transfer function. The cross-correlogram between
the residual from a transfer-function model and the prewhitened input series of the model can be
examined for evidence of model misspecification.
When you fit ARMA or ARIMA models, the dependent variable being modeled must be covariance
stationary (ARMA models), or the order of integration must be known (ARIMA models). Stata has three
commands that can test for the presence of a unit root in a time-series variable: dfuller performs
the augmented Dickey–Fuller test, pperron performs the Phillips–Perron test, and dfgls performs
a modified Dickey–Fuller test.
The remaining diagnostic tools for univariate time series are for use after fitting a linear model via
OLS with Stata’s regress command. They are documented collectively in [R] regress postestimation
time series. They include estat dwatson, estat durbinalt, estat bgodfrey, and estat
archlm. estat dwatson computes the Durbin–Watson d statistic to test for the presence of first-
order autocorrelation in the OLS residuals. estat durbinalt likewise tests for the presence of
autocorrelation in the residuals. By comparison, however, Durbin’s alternative test is more general
and easier to use than the Durbin–Watson test. With estat durbinalt, you can test for higher
orders of autocorrelation, the assumption that the covariates in the model are strictly exogenous is
relaxed, and there is no need to consult tables to compute rejection regions, as you must with the
Durbin–Watson test. estat bgodfrey computes the Breusch–Godfrey test for autocorrelation in the
residuals, and although the computations are different, the test in estat bgodfrey is asymptotically
equivalent to the test in estat durbinalt. Finally, estat archlm performs Engle’s LM test for the
presence of autoregressive conditional heteroskedasticity.

Multivariate time series

Estimators
Stata provides commands for fitting the most widely applied multivariate time-series models. var
and svar fit vector autoregressive and structural vector autoregressive models to stationary data.
vec fits cointegrating vector error-correction models. dfactor fits dynamic-factor models. dvech fits
diagonal vech multivariate GARCH models. sspace fits state-space models. Many linear time-series
models, including vector autoregressive moving average (VARMA) models and structural time-series
models, can be cast as state-space models and fit by sspace.

Diagnostic tools
Before fitting a multivariate time-series model, you must specify the number of lags to include.
varsoc produces statistics for determining the order of a VAR or VECM.
Several postestimation commands perform the most common specification analysis on a previously
fitted VAR or SVAR. You can use varlmar to check for serial correlation in the residuals, varnorm
to test the null hypothesis that the disturbances come from a multivariate normal distribution, and
varstable to see if the fitted VAR or SVAR is stable. Two common types of inference about VAR
models are whether one variable Granger-causes another and whether a set of lags can be excluded
from the model. vargranger reports Wald tests of Granger causation, and varwle reports Wald lag
exclusion tests.
 time series — Introduction to time-series commands 9

Similarly, several postestimation commands perform the most common specification analysis on a
previously fitted VECM. You can use veclmar to check for serial correlation in the residuals, vecnorm
to test the null hypothesis that the disturbances come from a multivariate normal distribution, and
vecstable to analyze the stability of the previously fitted VECM.
VARs and VECMs are often fit to produce baseline forecasts. fcast produces dynamic forecasts
from previously fitted VARs and VECMs.
Many researchers fit VARs, SVARs, and VECMs because they want to analyze how unexpected
shocks affect the dynamic paths of the variables. Stata has a suite of irf commands for estimating
IRF functions and interpreting, presenting, and managing these estimates; see [TS] irf.

References
Baum, C. F. 2005. Stata: The language of choice for time-series analysis? Stata Journal 5: 46–63.
Hamilton, J. D. 1994. Time Series Analysis. Princeton: Princeton University Press.
Lütkepohl, H. 1993. Introduction to Multiple Time Series Analysis. 2nd ed. New York: Springer.
. 2005. New Introduction to Multiple Time Series Analysis. New York: Springer.
Pisati, M. 2001. sg162: Tools for spatial data analysis. Stata Technical Bulletin 60: 21–37. Reprinted in Stata Technical
Bulletin Reprints, vol. 10, pp. 277–298. College Station, TX: Stata Press.
Stock, J. H., and M. W. Watson. 2001. Vector autoregressions. Journal of Economic Perspectives 15: 101–115.

Also see
[U] 1.3 What’s new
[R] intro — Introduction to base reference manual